Where is my mistake in this definition of Bayes Factor?





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From "The Bayesian Choice" by Christian P. Robert.



The definition of the Bayes factor is given to be the ratio of the posterior probabilities of the null and the alternative hypothesis over the ratio of the prior probabilities of the null and alternative.



ie $$B_{01}^{pi}= frac{ frac{P(theta in Theta_{0}|x)}{P(theta in Theta_{1}|x)}}{frac{p(theta in Theta_{0})}{ p(theta in Theta_{1})}}$$



Which the author shortly simplifies to be



$$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$



But when I try to write out all the terms and use that



$$pi(theta|x)=frac{f(x|theta) pi(theta)}{int_{Theta}f(x|theta) pi(theta)dtheta}$$



I get



$$B_{01}^{pi}=frac{f(x|theta_{0})int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}{f(x|theta_{1})int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}$$



instead.



Anyone have any idea of where I went wrong? Probably some simple mistake I made or error.










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    up vote
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    From "The Bayesian Choice" by Christian P. Robert.



    The definition of the Bayes factor is given to be the ratio of the posterior probabilities of the null and the alternative hypothesis over the ratio of the prior probabilities of the null and alternative.



    ie $$B_{01}^{pi}= frac{ frac{P(theta in Theta_{0}|x)}{P(theta in Theta_{1}|x)}}{frac{p(theta in Theta_{0})}{ p(theta in Theta_{1})}}$$



    Which the author shortly simplifies to be



    $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$



    But when I try to write out all the terms and use that



    $$pi(theta|x)=frac{f(x|theta) pi(theta)}{int_{Theta}f(x|theta) pi(theta)dtheta}$$



    I get



    $$B_{01}^{pi}=frac{f(x|theta_{0})int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}{f(x|theta_{1})int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}$$



    instead.



    Anyone have any idea of where I went wrong? Probably some simple mistake I made or error.










    share|cite|improve this question


























      up vote
      4
      down vote

      favorite
      3









      up vote
      4
      down vote

      favorite
      3






      3





      From "The Bayesian Choice" by Christian P. Robert.



      The definition of the Bayes factor is given to be the ratio of the posterior probabilities of the null and the alternative hypothesis over the ratio of the prior probabilities of the null and alternative.



      ie $$B_{01}^{pi}= frac{ frac{P(theta in Theta_{0}|x)}{P(theta in Theta_{1}|x)}}{frac{p(theta in Theta_{0})}{ p(theta in Theta_{1})}}$$



      Which the author shortly simplifies to be



      $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$



      But when I try to write out all the terms and use that



      $$pi(theta|x)=frac{f(x|theta) pi(theta)}{int_{Theta}f(x|theta) pi(theta)dtheta}$$



      I get



      $$B_{01}^{pi}=frac{f(x|theta_{0})int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}{f(x|theta_{1})int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}$$



      instead.



      Anyone have any idea of where I went wrong? Probably some simple mistake I made or error.










      share|cite|improve this question















      From "The Bayesian Choice" by Christian P. Robert.



      The definition of the Bayes factor is given to be the ratio of the posterior probabilities of the null and the alternative hypothesis over the ratio of the prior probabilities of the null and alternative.



      ie $$B_{01}^{pi}= frac{ frac{P(theta in Theta_{0}|x)}{P(theta in Theta_{1}|x)}}{frac{p(theta in Theta_{0})}{ p(theta in Theta_{1})}}$$



      Which the author shortly simplifies to be



      $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$



      But when I try to write out all the terms and use that



      $$pi(theta|x)=frac{f(x|theta) pi(theta)}{int_{Theta}f(x|theta) pi(theta)dtheta}$$



      I get



      $$B_{01}^{pi}=frac{f(x|theta_{0})int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}{f(x|theta_{1})int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}$$



      instead.



      Anyone have any idea of where I went wrong? Probably some simple mistake I made or error.







      hypothesis-testing bayesian mathematical-statistics odds-ratio marginal






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      share|cite|improve this question




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      edited yesterday









      Xi'an

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          My deepest apologies, there is a typo in the final expression! Indeed, here is the complete text from my book (p.231):




          Definition 5.5. The Bayes factor is the ratio of the posterior probabilities of the null and the alternative hypotheses over the
          ratio of the prior probabilities of the null and the alternative
          hypotheses, i.e., $$ B^pi_{01}(x) = {P(theta in Theta_ 0mid x)
          over P(theta in Theta_1mid x)} bigg/ {pi(theta in Theta_ 0)
          over pi(theta in Theta_ 1)}. $$
          This ratio evaluates the
          modification of the odds of $Theta_0$ against $Theta_1$ due to the
          obs and can naturally be compared to $1$, although an exact
          comparison scale can only be based upon a loss function. In the
          particular case where $Theta_0={theta_0}$ and
          $Theta_1={theta_1}$, the Bayes factor simplifies to the usual
          likelihood ratio $$ B^pi_{01} (x) = {f(x|theta_0)over
          f(x|theta_1)}. $$
          In general, the Bayes factor depends on prior
          information, but is still proposed as an ``objective'' Bayesian
          answer, since it partly eliminates the influence of the prior modeling
          and emphasizes the role of the observations. Actually, it can be
          perceived as a Bayesian likelihood ratio since, if $pi_0$ is the
          prior distribution under $H_0$ and $pi_1$ the prior distribution
          under $H_1$, $B^pi_{01}(x)$ can be written as begin{equation}
          B^pi_{01} (x) = {int_{Theta_0} f(x|theta_0)pi_0(theta)
          ,text{d}theta over int_{Theta_1} f(x|theta_1)pi_1(theta)
          ,text{d}theta}
          =frac{m_0(x)}{m_1(x)},, end{equation}
          thus replacing the likelihoods with the marginals under both hypotheses.




          The prior is thus defined as a mixture:
          $$pi(theta)=pi(theta in Theta_ 0)timespi_0(theta)timesmathbb{I}_{Theta_0}(theta)+pi(theta in Theta_ 1)timespi_1(theta)timesmathbb{I}_{Theta_1}(theta)$$where
          $$pi(theta in Theta_ 0)=rho_0qquadtext{and}qquadpi(theta in Theta_ 1)=1-rho_0stackrel{text{def}}{=}rho_1$$
          are the prior weights of both hypotheses and
          $$int_{Theta_0} pi_0(theta_0)text{d}theta_0=int_{Theta_1} pi_1(theta_1)text{d}theta_1=1$$Therefore
          begin{align*}P(theta in Theta_ 0|x)=int_{Theta_0} pi(theta_0|x)text{d}theta_0&=int_{Theta_0} pi(theta_0|x)text{d}theta_0\
          &= frac{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} pi(theta_1)f(x|theta_1)text{d}theta_1}\
          &=frac{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}
          end{align*}

          and
          $$P(theta in Theta_1mid x)=frac{int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}$$Hence,
          $$frac{P(theta in Theta_ 0|x)}{P(theta in Theta_1mid x)}=frac{rho_0int_{Theta_0} pi_0(theta_0)f(x|theta_0)text{d}theta_0}{rho_1int_{Theta_1} pi_1(theta_1)f(x|theta_1)text{d}theta_1}=frac{rho_0}{1-rho_0}B^pi_{01}(x)$$
          This hopefully explains where the final expression comes from.



          Alas, there is a mistake in the last ratio of integrals in the quoted text (presumably due to a cut & paste)




          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$




          which should be (when identifying the integrands differently in the two integrals to signify that the integrals are over two different parameter spaces)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta_0)dtheta_0}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta_1)dtheta_1}$$or (with another choice of representation of the integrands)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta)pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta)pi_{1}(theta)dtheta}$$
          The only case when the notations $theta_0$ and $theta_1$ are important is when both null and alternative hypotheses are point hypotheses, i.e., when $Theta_0={theta_0}$ and $Theta_1={theta_1}$, since both symbols then take specific values, like $theta_0=3$ and $theta_1=-2$. In this specific case, the posterior is concentrated on ${theta_0,theta_1}$ and the Bayes factor writes $$ B^pi_{01} (x) = {f(x|theta_0)over f(x|theta_1)}$$ since
          $$P(theta=theta_0|x)=frac{overbrace{pi(theta_0)}^{rho_0}f(x|theta_0)}{pi(theta_0)f(x|theta_0)+underbrace{pi(theta_1)}_{rho_1}f(x|theta_1)}$$



          Thank you for pointing out this error, to be added to the list of typos.






          share|cite|improve this answer



















          • 1




            Are there a few $f$s missing, and an accidentally squared $pi_1$?
            – Taylor
            2 hours ago












          • @Taylor: yes indeed, well spotted. Thx.
            – Xi'an
            1 hour ago











          Your Answer





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          My deepest apologies, there is a typo in the final expression! Indeed, here is the complete text from my book (p.231):




          Definition 5.5. The Bayes factor is the ratio of the posterior probabilities of the null and the alternative hypotheses over the
          ratio of the prior probabilities of the null and the alternative
          hypotheses, i.e., $$ B^pi_{01}(x) = {P(theta in Theta_ 0mid x)
          over P(theta in Theta_1mid x)} bigg/ {pi(theta in Theta_ 0)
          over pi(theta in Theta_ 1)}. $$
          This ratio evaluates the
          modification of the odds of $Theta_0$ against $Theta_1$ due to the
          obs and can naturally be compared to $1$, although an exact
          comparison scale can only be based upon a loss function. In the
          particular case where $Theta_0={theta_0}$ and
          $Theta_1={theta_1}$, the Bayes factor simplifies to the usual
          likelihood ratio $$ B^pi_{01} (x) = {f(x|theta_0)over
          f(x|theta_1)}. $$
          In general, the Bayes factor depends on prior
          information, but is still proposed as an ``objective'' Bayesian
          answer, since it partly eliminates the influence of the prior modeling
          and emphasizes the role of the observations. Actually, it can be
          perceived as a Bayesian likelihood ratio since, if $pi_0$ is the
          prior distribution under $H_0$ and $pi_1$ the prior distribution
          under $H_1$, $B^pi_{01}(x)$ can be written as begin{equation}
          B^pi_{01} (x) = {int_{Theta_0} f(x|theta_0)pi_0(theta)
          ,text{d}theta over int_{Theta_1} f(x|theta_1)pi_1(theta)
          ,text{d}theta}
          =frac{m_0(x)}{m_1(x)},, end{equation}
          thus replacing the likelihoods with the marginals under both hypotheses.




          The prior is thus defined as a mixture:
          $$pi(theta)=pi(theta in Theta_ 0)timespi_0(theta)timesmathbb{I}_{Theta_0}(theta)+pi(theta in Theta_ 1)timespi_1(theta)timesmathbb{I}_{Theta_1}(theta)$$where
          $$pi(theta in Theta_ 0)=rho_0qquadtext{and}qquadpi(theta in Theta_ 1)=1-rho_0stackrel{text{def}}{=}rho_1$$
          are the prior weights of both hypotheses and
          $$int_{Theta_0} pi_0(theta_0)text{d}theta_0=int_{Theta_1} pi_1(theta_1)text{d}theta_1=1$$Therefore
          begin{align*}P(theta in Theta_ 0|x)=int_{Theta_0} pi(theta_0|x)text{d}theta_0&=int_{Theta_0} pi(theta_0|x)text{d}theta_0\
          &= frac{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} pi(theta_1)f(x|theta_1)text{d}theta_1}\
          &=frac{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}
          end{align*}

          and
          $$P(theta in Theta_1mid x)=frac{int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}$$Hence,
          $$frac{P(theta in Theta_ 0|x)}{P(theta in Theta_1mid x)}=frac{rho_0int_{Theta_0} pi_0(theta_0)f(x|theta_0)text{d}theta_0}{rho_1int_{Theta_1} pi_1(theta_1)f(x|theta_1)text{d}theta_1}=frac{rho_0}{1-rho_0}B^pi_{01}(x)$$
          This hopefully explains where the final expression comes from.



          Alas, there is a mistake in the last ratio of integrals in the quoted text (presumably due to a cut & paste)




          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$




          which should be (when identifying the integrands differently in the two integrals to signify that the integrals are over two different parameter spaces)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta_0)dtheta_0}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta_1)dtheta_1}$$or (with another choice of representation of the integrands)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta)pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta)pi_{1}(theta)dtheta}$$
          The only case when the notations $theta_0$ and $theta_1$ are important is when both null and alternative hypotheses are point hypotheses, i.e., when $Theta_0={theta_0}$ and $Theta_1={theta_1}$, since both symbols then take specific values, like $theta_0=3$ and $theta_1=-2$. In this specific case, the posterior is concentrated on ${theta_0,theta_1}$ and the Bayes factor writes $$ B^pi_{01} (x) = {f(x|theta_0)over f(x|theta_1)}$$ since
          $$P(theta=theta_0|x)=frac{overbrace{pi(theta_0)}^{rho_0}f(x|theta_0)}{pi(theta_0)f(x|theta_0)+underbrace{pi(theta_1)}_{rho_1}f(x|theta_1)}$$



          Thank you for pointing out this error, to be added to the list of typos.






          share|cite|improve this answer



















          • 1




            Are there a few $f$s missing, and an accidentally squared $pi_1$?
            – Taylor
            2 hours ago












          • @Taylor: yes indeed, well spotted. Thx.
            – Xi'an
            1 hour ago















          up vote
          4
          down vote



          accepted










          My deepest apologies, there is a typo in the final expression! Indeed, here is the complete text from my book (p.231):




          Definition 5.5. The Bayes factor is the ratio of the posterior probabilities of the null and the alternative hypotheses over the
          ratio of the prior probabilities of the null and the alternative
          hypotheses, i.e., $$ B^pi_{01}(x) = {P(theta in Theta_ 0mid x)
          over P(theta in Theta_1mid x)} bigg/ {pi(theta in Theta_ 0)
          over pi(theta in Theta_ 1)}. $$
          This ratio evaluates the
          modification of the odds of $Theta_0$ against $Theta_1$ due to the
          obs and can naturally be compared to $1$, although an exact
          comparison scale can only be based upon a loss function. In the
          particular case where $Theta_0={theta_0}$ and
          $Theta_1={theta_1}$, the Bayes factor simplifies to the usual
          likelihood ratio $$ B^pi_{01} (x) = {f(x|theta_0)over
          f(x|theta_1)}. $$
          In general, the Bayes factor depends on prior
          information, but is still proposed as an ``objective'' Bayesian
          answer, since it partly eliminates the influence of the prior modeling
          and emphasizes the role of the observations. Actually, it can be
          perceived as a Bayesian likelihood ratio since, if $pi_0$ is the
          prior distribution under $H_0$ and $pi_1$ the prior distribution
          under $H_1$, $B^pi_{01}(x)$ can be written as begin{equation}
          B^pi_{01} (x) = {int_{Theta_0} f(x|theta_0)pi_0(theta)
          ,text{d}theta over int_{Theta_1} f(x|theta_1)pi_1(theta)
          ,text{d}theta}
          =frac{m_0(x)}{m_1(x)},, end{equation}
          thus replacing the likelihoods with the marginals under both hypotheses.




          The prior is thus defined as a mixture:
          $$pi(theta)=pi(theta in Theta_ 0)timespi_0(theta)timesmathbb{I}_{Theta_0}(theta)+pi(theta in Theta_ 1)timespi_1(theta)timesmathbb{I}_{Theta_1}(theta)$$where
          $$pi(theta in Theta_ 0)=rho_0qquadtext{and}qquadpi(theta in Theta_ 1)=1-rho_0stackrel{text{def}}{=}rho_1$$
          are the prior weights of both hypotheses and
          $$int_{Theta_0} pi_0(theta_0)text{d}theta_0=int_{Theta_1} pi_1(theta_1)text{d}theta_1=1$$Therefore
          begin{align*}P(theta in Theta_ 0|x)=int_{Theta_0} pi(theta_0|x)text{d}theta_0&=int_{Theta_0} pi(theta_0|x)text{d}theta_0\
          &= frac{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} pi(theta_1)f(x|theta_1)text{d}theta_1}\
          &=frac{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}
          end{align*}

          and
          $$P(theta in Theta_1mid x)=frac{int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}$$Hence,
          $$frac{P(theta in Theta_ 0|x)}{P(theta in Theta_1mid x)}=frac{rho_0int_{Theta_0} pi_0(theta_0)f(x|theta_0)text{d}theta_0}{rho_1int_{Theta_1} pi_1(theta_1)f(x|theta_1)text{d}theta_1}=frac{rho_0}{1-rho_0}B^pi_{01}(x)$$
          This hopefully explains where the final expression comes from.



          Alas, there is a mistake in the last ratio of integrals in the quoted text (presumably due to a cut & paste)




          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$




          which should be (when identifying the integrands differently in the two integrals to signify that the integrals are over two different parameter spaces)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta_0)dtheta_0}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta_1)dtheta_1}$$or (with another choice of representation of the integrands)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta)pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta)pi_{1}(theta)dtheta}$$
          The only case when the notations $theta_0$ and $theta_1$ are important is when both null and alternative hypotheses are point hypotheses, i.e., when $Theta_0={theta_0}$ and $Theta_1={theta_1}$, since both symbols then take specific values, like $theta_0=3$ and $theta_1=-2$. In this specific case, the posterior is concentrated on ${theta_0,theta_1}$ and the Bayes factor writes $$ B^pi_{01} (x) = {f(x|theta_0)over f(x|theta_1)}$$ since
          $$P(theta=theta_0|x)=frac{overbrace{pi(theta_0)}^{rho_0}f(x|theta_0)}{pi(theta_0)f(x|theta_0)+underbrace{pi(theta_1)}_{rho_1}f(x|theta_1)}$$



          Thank you for pointing out this error, to be added to the list of typos.






          share|cite|improve this answer



















          • 1




            Are there a few $f$s missing, and an accidentally squared $pi_1$?
            – Taylor
            2 hours ago












          • @Taylor: yes indeed, well spotted. Thx.
            – Xi'an
            1 hour ago













          up vote
          4
          down vote



          accepted







          up vote
          4
          down vote



          accepted






          My deepest apologies, there is a typo in the final expression! Indeed, here is the complete text from my book (p.231):




          Definition 5.5. The Bayes factor is the ratio of the posterior probabilities of the null and the alternative hypotheses over the
          ratio of the prior probabilities of the null and the alternative
          hypotheses, i.e., $$ B^pi_{01}(x) = {P(theta in Theta_ 0mid x)
          over P(theta in Theta_1mid x)} bigg/ {pi(theta in Theta_ 0)
          over pi(theta in Theta_ 1)}. $$
          This ratio evaluates the
          modification of the odds of $Theta_0$ against $Theta_1$ due to the
          obs and can naturally be compared to $1$, although an exact
          comparison scale can only be based upon a loss function. In the
          particular case where $Theta_0={theta_0}$ and
          $Theta_1={theta_1}$, the Bayes factor simplifies to the usual
          likelihood ratio $$ B^pi_{01} (x) = {f(x|theta_0)over
          f(x|theta_1)}. $$
          In general, the Bayes factor depends on prior
          information, but is still proposed as an ``objective'' Bayesian
          answer, since it partly eliminates the influence of the prior modeling
          and emphasizes the role of the observations. Actually, it can be
          perceived as a Bayesian likelihood ratio since, if $pi_0$ is the
          prior distribution under $H_0$ and $pi_1$ the prior distribution
          under $H_1$, $B^pi_{01}(x)$ can be written as begin{equation}
          B^pi_{01} (x) = {int_{Theta_0} f(x|theta_0)pi_0(theta)
          ,text{d}theta over int_{Theta_1} f(x|theta_1)pi_1(theta)
          ,text{d}theta}
          =frac{m_0(x)}{m_1(x)},, end{equation}
          thus replacing the likelihoods with the marginals under both hypotheses.




          The prior is thus defined as a mixture:
          $$pi(theta)=pi(theta in Theta_ 0)timespi_0(theta)timesmathbb{I}_{Theta_0}(theta)+pi(theta in Theta_ 1)timespi_1(theta)timesmathbb{I}_{Theta_1}(theta)$$where
          $$pi(theta in Theta_ 0)=rho_0qquadtext{and}qquadpi(theta in Theta_ 1)=1-rho_0stackrel{text{def}}{=}rho_1$$
          are the prior weights of both hypotheses and
          $$int_{Theta_0} pi_0(theta_0)text{d}theta_0=int_{Theta_1} pi_1(theta_1)text{d}theta_1=1$$Therefore
          begin{align*}P(theta in Theta_ 0|x)=int_{Theta_0} pi(theta_0|x)text{d}theta_0&=int_{Theta_0} pi(theta_0|x)text{d}theta_0\
          &= frac{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} pi(theta_1)f(x|theta_1)text{d}theta_1}\
          &=frac{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}
          end{align*}

          and
          $$P(theta in Theta_1mid x)=frac{int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}$$Hence,
          $$frac{P(theta in Theta_ 0|x)}{P(theta in Theta_1mid x)}=frac{rho_0int_{Theta_0} pi_0(theta_0)f(x|theta_0)text{d}theta_0}{rho_1int_{Theta_1} pi_1(theta_1)f(x|theta_1)text{d}theta_1}=frac{rho_0}{1-rho_0}B^pi_{01}(x)$$
          This hopefully explains where the final expression comes from.



          Alas, there is a mistake in the last ratio of integrals in the quoted text (presumably due to a cut & paste)




          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$




          which should be (when identifying the integrands differently in the two integrals to signify that the integrals are over two different parameter spaces)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta_0)dtheta_0}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta_1)dtheta_1}$$or (with another choice of representation of the integrands)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta)pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta)pi_{1}(theta)dtheta}$$
          The only case when the notations $theta_0$ and $theta_1$ are important is when both null and alternative hypotheses are point hypotheses, i.e., when $Theta_0={theta_0}$ and $Theta_1={theta_1}$, since both symbols then take specific values, like $theta_0=3$ and $theta_1=-2$. In this specific case, the posterior is concentrated on ${theta_0,theta_1}$ and the Bayes factor writes $$ B^pi_{01} (x) = {f(x|theta_0)over f(x|theta_1)}$$ since
          $$P(theta=theta_0|x)=frac{overbrace{pi(theta_0)}^{rho_0}f(x|theta_0)}{pi(theta_0)f(x|theta_0)+underbrace{pi(theta_1)}_{rho_1}f(x|theta_1)}$$



          Thank you for pointing out this error, to be added to the list of typos.






          share|cite|improve this answer














          My deepest apologies, there is a typo in the final expression! Indeed, here is the complete text from my book (p.231):




          Definition 5.5. The Bayes factor is the ratio of the posterior probabilities of the null and the alternative hypotheses over the
          ratio of the prior probabilities of the null and the alternative
          hypotheses, i.e., $$ B^pi_{01}(x) = {P(theta in Theta_ 0mid x)
          over P(theta in Theta_1mid x)} bigg/ {pi(theta in Theta_ 0)
          over pi(theta in Theta_ 1)}. $$
          This ratio evaluates the
          modification of the odds of $Theta_0$ against $Theta_1$ due to the
          obs and can naturally be compared to $1$, although an exact
          comparison scale can only be based upon a loss function. In the
          particular case where $Theta_0={theta_0}$ and
          $Theta_1={theta_1}$, the Bayes factor simplifies to the usual
          likelihood ratio $$ B^pi_{01} (x) = {f(x|theta_0)over
          f(x|theta_1)}. $$
          In general, the Bayes factor depends on prior
          information, but is still proposed as an ``objective'' Bayesian
          answer, since it partly eliminates the influence of the prior modeling
          and emphasizes the role of the observations. Actually, it can be
          perceived as a Bayesian likelihood ratio since, if $pi_0$ is the
          prior distribution under $H_0$ and $pi_1$ the prior distribution
          under $H_1$, $B^pi_{01}(x)$ can be written as begin{equation}
          B^pi_{01} (x) = {int_{Theta_0} f(x|theta_0)pi_0(theta)
          ,text{d}theta over int_{Theta_1} f(x|theta_1)pi_1(theta)
          ,text{d}theta}
          =frac{m_0(x)}{m_1(x)},, end{equation}
          thus replacing the likelihoods with the marginals under both hypotheses.




          The prior is thus defined as a mixture:
          $$pi(theta)=pi(theta in Theta_ 0)timespi_0(theta)timesmathbb{I}_{Theta_0}(theta)+pi(theta in Theta_ 1)timespi_1(theta)timesmathbb{I}_{Theta_1}(theta)$$where
          $$pi(theta in Theta_ 0)=rho_0qquadtext{and}qquadpi(theta in Theta_ 1)=1-rho_0stackrel{text{def}}{=}rho_1$$
          are the prior weights of both hypotheses and
          $$int_{Theta_0} pi_0(theta_0)text{d}theta_0=int_{Theta_1} pi_1(theta_1)text{d}theta_1=1$$Therefore
          begin{align*}P(theta in Theta_ 0|x)=int_{Theta_0} pi(theta_0|x)text{d}theta_0&=int_{Theta_0} pi(theta_0|x)text{d}theta_0\
          &= frac{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} pi(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} pi(theta_1)f(x|theta_1)text{d}theta_1}\
          &=frac{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}
          end{align*}

          and
          $$P(theta in Theta_1mid x)=frac{int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}{int_{Theta_0} rho_0pi_0(theta_0)f(x|theta_0)text{d}theta_0+int_{Theta_1} rho_1pi_1(theta_1)f(x|theta_1)text{d}theta_1}$$Hence,
          $$frac{P(theta in Theta_ 0|x)}{P(theta in Theta_1mid x)}=frac{rho_0int_{Theta_0} pi_0(theta_0)f(x|theta_0)text{d}theta_0}{rho_1int_{Theta_1} pi_1(theta_1)f(x|theta_1)text{d}theta_1}=frac{rho_0}{1-rho_0}B^pi_{01}(x)$$
          This hopefully explains where the final expression comes from.



          Alas, there is a mistake in the last ratio of integrals in the quoted text (presumably due to a cut & paste)




          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta)dtheta}$$




          which should be (when identifying the integrands differently in the two integrals to signify that the integrals are over two different parameter spaces)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta_{0})pi_{0}(theta_0)dtheta_0}{int_{Theta_{1}}f(x|theta_{1})pi_{1}(theta_1)dtheta_1}$$or (with another choice of representation of the integrands)
          $$B_{01}^{pi}=frac{int_{Theta_{0}}f(x|theta)pi_{0}(theta)dtheta}{int_{Theta_{1}}f(x|theta)pi_{1}(theta)dtheta}$$
          The only case when the notations $theta_0$ and $theta_1$ are important is when both null and alternative hypotheses are point hypotheses, i.e., when $Theta_0={theta_0}$ and $Theta_1={theta_1}$, since both symbols then take specific values, like $theta_0=3$ and $theta_1=-2$. In this specific case, the posterior is concentrated on ${theta_0,theta_1}$ and the Bayes factor writes $$ B^pi_{01} (x) = {f(x|theta_0)over f(x|theta_1)}$$ since
          $$P(theta=theta_0|x)=frac{overbrace{pi(theta_0)}^{rho_0}f(x|theta_0)}{pi(theta_0)f(x|theta_0)+underbrace{pi(theta_1)}_{rho_1}f(x|theta_1)}$$



          Thank you for pointing out this error, to be added to the list of typos.







          share|cite|improve this answer














          share|cite|improve this answer



          share|cite|improve this answer








          edited 1 hour ago

























          answered yesterday









          Xi'an

          52.2k688339




          52.2k688339








          • 1




            Are there a few $f$s missing, and an accidentally squared $pi_1$?
            – Taylor
            2 hours ago












          • @Taylor: yes indeed, well spotted. Thx.
            – Xi'an
            1 hour ago














          • 1




            Are there a few $f$s missing, and an accidentally squared $pi_1$?
            – Taylor
            2 hours ago












          • @Taylor: yes indeed, well spotted. Thx.
            – Xi'an
            1 hour ago








          1




          1




          Are there a few $f$s missing, and an accidentally squared $pi_1$?
          – Taylor
          2 hours ago






          Are there a few $f$s missing, and an accidentally squared $pi_1$?
          – Taylor
          2 hours ago














          @Taylor: yes indeed, well spotted. Thx.
          – Xi'an
          1 hour ago




          @Taylor: yes indeed, well spotted. Thx.
          – Xi'an
          1 hour ago


















           

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